Minimax Portfolio Optimization Under Interval Uncertainty
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- Yuan Meng
- Graduate School of Information, Production, and Systems, Waseda University
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- Lin Xu
- Graduate School of Information, Production, and Systems, Waseda University
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- Watada Junzo
- Graduate School of Information, Production, and Systems, Waseda University
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- Kreinovich Vladik
- Department of Computer Science, University of Texas at El Paso
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Abstract
<p>In the 1950s, Markowitz proposed to combine different investment instruments to design a portfolio that either maximizes the expected return under constraints on volatility (risk) or minimizes the risk under given expected return. Markowitz’s formulas are still widely used in financial practice. However, these formulas assume that we know the exact values of expected return and variance for each instrument, and that we know the exact covariance of every two instruments. In practice, we only know these values with some uncertainty. Often, we only know the lower and upper bounds on these values – i.e., in other words, we only know the intervals that contain these values. In this paper, we show how to select an optimal portfolio under such interval uncertainty.</p>
Journal
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- Journal of Advanced Computational Intelligence and Intelligent Informatics
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Journal of Advanced Computational Intelligence and Intelligent Informatics 19 (5), 575-580, 2015-09-20
Fuji Technology Press Ltd.
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Details 詳細情報について
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- CRID
- 1390001288149806848
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- NII Article ID
- 130007673263
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- NII Book ID
- AA12042502
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- ISSN
- 18838014
- 13430130
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- NDL BIB ID
- 026802996
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- Web Site
- http://id.ndl.go.jp/bib/026802996
- https://ndlsearch.ndl.go.jp/books/R000000004-I026802996
- https://www.fujipress.jp/main/wp-content/themes/Fujipress/phyosetsu.php?ppno=JACII001900050001
- https://dsc.repo.nii.ac.jp/?action=repository_uri&item_id=1609
- http://digitalcommons.utep.edu/cgi/viewcontent.cgi?article=1882&context=cs_techrep
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- Text Lang
- en
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- Data Source
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- JaLC
- NDL
- Crossref
- CiNii Articles
- IDR
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- Abstract License Flag
- Disallowed